Comments on: Synthetic Cash http://minute-class.com/finance/synthetic-cash/ CFA Videos: Finance, Accounting and Investment Sat, 04 Feb 2012 22:51:58 +0000 http://wordpress.org/?v=2.8.4 hourly 1 By: VTom http://minute-class.com/finance/synthetic-cash/comment-page-1/#comment-2243 VTom Wed, 20 May 2009 22:05:59 +0000 http://minute-class.com/finance/?p=933#comment-2243 Completely wrong appoach; Let's start from the very beginning: you wish turn beta to zero. Classical formula works only and if: futures' beta is equal to equity's beta; Futures' beta for the same stock is always less, present value factor is, as usually, 1/(1+r)*T You can never create cash with futures different from stock... See curriculum... Sample 2007, 2008 CFA exams' answers to the issue are incorrect. Completely wrong appoach; Let’s start from the very beginning: you wish turn beta to zero. Classical formula works only and if: futures’ beta is equal to equity’s beta; Futures’ beta for the same stock is always less, present value factor is, as usually, 1/(1+r)*T

You can never create cash with futures different from stock… See curriculum…

Sample 2007, 2008 CFA exams’ answers to the issue are incorrect.

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